Sequential design of experiments for estimating percentiles of black-box functions

DOI10.5705/ss.202016.0160zbMath1390.62161arXiv1605.05524OpenAlexW2963866191MaRDI QIDQ4639582

Victor Picheny, Tatiana Labopin-Richard

Publication date: 9 May 2018

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.05524

zbMATH Keywords

Gaussian processesrisk assessmentstepwise uncertainty reduction

Mathematics Subject Classification ID

Gaussian processes (60G15) Sequential statistical design (62L05)

Related Items (2)

Sequential Learning of Active Subspaces ⋮ Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement

Uses Software

• pbivnorm

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